SPX dealer positioning, the week of January 15, 2024
Jan 15 to Jan 19 · 4 of 5 days traded · each session free to replay
| Day | Open | Close | Change | Range | Close to close | Flip at the close | Gamma at the close |
|---|---|---|---|---|---|---|---|
| Monday Jan 15 | no session | ||||||
| Tuesday Jan 16 | 4771.0 | 4765.6 | -5.4 -0.11% | 34.0 | -17.0 | 4729.2 crossed 1x | positive |
| Wednesday Jan 17 | 4733.6 | 4739.3 | +5.7 +0.12% | 27.5 | -26.3 | 4694.5 crossed 1x | positive |
| Thursday Jan 18 | 4756.2 | 4781.4 | +25.2 +0.53% | 43.3 | +42.2 | 4728.1 not crossed | positive |
| Friday Jan 19 | 4789.4 | 4837.7 | +48.2 +1.01% | 55.3 | +56.2 | 4747.7 crossed 4x | positive |
Week: +55.1 points (+1.15%), close to close from 2024-01-12.
Ranges: 160.1 points over 4 sessions, the largest 55.3 on 2024-01-19.
Zero-gamma flip at the close: 4729.2 on the first session, 4747.7 on the last (+18.5 points).
Closed in positive gamma: 4 of 4 sessions.
Events this week
- Jan 17
08:30Retail sales
Retail sales m/m: actual 0.1% / prior -0.1% - Jan 17
09:30VIX settlement
spot -3.5 in the 15 minutes after 09:30; flip 4955.3 → 4694.7; net gamma long (was short) - Jan 17
13:0020-year bond auction, $13B (reopening)
spot -6.4 in the 15 minutes after 13:00; flip 4696.6 → 4697.9; net gamma long; walls 4696.6 / 4781.0 → 4697.9 / 4781.2 - Jan 18
08:30Housing starts
Housing starts: actual 1504K / prior 1522K
Prices are SPX at the minute. Change is close minus open; close to close is against the previous finished session. The zero-gamma flip is the terminal's measured flip at the close, and "crossed" counts the minutes the tape changed sides of it. Gamma at the close is where the close sat against that flip. Events are the market calendar's high and medium impact rows; the line under an in-session event is what the book did in the fifteen minutes after it, from the day's own payload. Nothing here is a forecast; see the Terms.